Continuous-time autoregressive moving average processes in discrete time: representation and embeddability
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Publication:5397972
DOI10.1111/JTSA.12030zbMATH Open1282.62204OpenAlexW1486008482MaRDI QIDQ5397972FDOQ5397972
Authors: Michael A. Thornton, Marcus J. Chambers 
Publication date: 25 February 2014
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12030
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Cited In (11)
- Cointegrated continuous-time linear state-space and MCARMA models
- Title not available (Why is that?)
- Sampling, embedding and inference for CARMA processes
- Filling the gap between Continuous and Discrete Time Dynamics of Autoregressive Processes
- A novel first-order autoregressive moving average model to analyze discrete-time series irregularly observed
- Embedding in law of discrete time ARMA processes in continuous time stationary processes
- Recent results in the theory and applications of CARMA processes
- A note on the embeddability conditions in the case of integrated CARMA (2, 1) stochastic process with single and double zero roots
- Testing for a unit root in a near-integrated model with skip-sampled data
- DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES
- Some computational aspects of Gaussian CARMA modelling
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